The Impact of COVID-19 on the Volatility of Copper Futures

Oscar Melo-Vega-Angeles () and Bryan Chuquillanqui-Lichardo
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Oscar Melo-Vega-Angeles: Carrera de Negocios Internacionales, Grupo de Investigación en Economía, Banca y Finanzas, Instituto de Investigación Científica, Universidad de Lima, Lima 15023, Peru
Bryan Chuquillanqui-Lichardo: Carrera de Economía, Grupo de Investigación en Economía, Banca y Finanzas, Instituto de Investigación Científica, Universidad de Lima, Lima 15023, Peru

Economies, 2023, vol. 11, issue 7, 1-15

Abstract: The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and industrial machinery industries. Therefore, the aim of this study is to evaluate the impact of the COVID-19 pandemic on the volatility of copper futures returns from 2 January 2018 to 30 December 2022 using an extended ARMA(m,n)–GARCH(p,q) framework. According to the results, the occurrence of the pandemic nearly doubled the long-run equilibrium volatility of returns compared to the values obtained in the pre-pandemic period. Hence, we conclude that the COVID-19 pandemic has a significant influence on the volatility in the copper futures market.

Keywords: COVID-19; pandemic; copper futures; GARCH model; financial econometrics (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2023
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